This gain is small in respect with all the capital that was in play here, and also small in respect with the max potential return of $2,440. With RUT for some reason much weaker than the SPX, this position, which was making more than $1,000 last week, is suddenly not in danger, but close to becoming a loser. During the weekend Analysis I mentioned I would defend it if the Put side reached 30 deltas, but then I started to think about the possibility of it reaching, say 25 deltas, or 28 the day of the elections. Leaving me with a potential overnight problem if the position reached 35, 40 deltas over night without giving me a chance to defend it.

The alternative was to purchase insurance, for example IWM long Puts, above the 1120 RUT strike equivalent. For example IWM 113 or 114. But then, the investment in this insurance would eat into my potential returns. So, I decided to just close the shop and forget about this position.
Again, I'm being extra conservative simply because it is late in the year and my returns have not been spectacular. I can't afford a set back this late in the year.

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